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Minus SPY @ 184.45

Minus SPy @ 184.23

SPY@ 183.94. +11.5ESpoints.

Spy@ 184.08. + 8ESpoints.

SPY@ 184.00. +14ESpoints

SPY @ 184.22. +15ES points.

SPY @ 185.55. + 10ES points SPY @ 185.50. +14ESpoints.

Minus SPY at 186.89

Minus SPY @ 186.55

Minus spy @ 185.42

Minus SPY @ 185.72

Minus SPY @ 185.09

Profit @ 184.70. +0.60.

Profit @ 184.75. +0.45

Minus SPY @ 185.10

Minus SPY @ 185.30

Minus SPY @ 184.88

Minus SPY @ 185.07

I think we need the covariance matrix. What is the covariance matrix of A and B? (three entries). I did not go back to see what A and B are, but I assume they are the two strategies that are leading among the whole set.

Thanks for sharing. Back in Feb you posted a chart that had a line rising at around which the selling stopped. Could you post an update?